Investor attention, aggregate limit-hits, and stock returns  

Haidong Cai, Ying Jiang, Xiaoquan Liu

Research output: Journal PublicationArticlepeer-review

3 Citations (Scopus)


We develop a simple measure of investor attention by aggregating the number of days that a stock hits the upper or lower limit on a monthly basis. This attention proxy describes investor trading behavior and contains information of future stock returns. Using data from the Chinese equity market from 2002 to 2017, we provide extensive evidence that the investor attention captured by our measure negatively predicts cross-sectional stock returns, and the long–short trading strategy based on this attention measure produces significant economic value. We argue that the attention-motivated trading is the main cause behind the return predictability of aggregate limit-hits.
Original languageEnglish
Article number102265
Number of pages22
JournalInternational Review of Financial Analysis
Publication statusPublished - Oct 2022


  • Attention shock
  • Individual investors
  • Behavioral biases
  • Chinese stock market


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